Investment Summary
Enhanced Buffered Jump Securities
Principal at Risk Securities
Enhanced Buffered Jump Securities Based on the Performance of the Common Stock of Micron Technology, Inc. due November 21, 2025 (the “securities”) can be used:
￭As an alternative to direct exposure to the underlying stock that provides a fixed positive return of at least 24.40% (to be determined on the pricing date) if the underlying stock has appreciated or has not depreciated by more than 10% over the term of the securities;
￭To enhance returns and potentially outperform the underlying stock in a moderately bullish or moderately bearish scenario; and
￭To obtain a buffer against a specified level of negative performance of the underlying stock.
The securities are exposed to the performance of the common stock of Micron Technology, Inc., but provide a fixed upside payment payable at maturity if the share closing price on the valuation date is at or above the downside threshold level. However, if the final share price is less than the downside threshold level, the securities are exposed on a 1:1 basis to the percentage decline in the final share price from the initial share price beyond the buffer amount of 10%. Accordingly, 90% of your principal is at risk.
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Maturity:
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Approximately 13 months
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Fixed upside payment:
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At least $244 per security (24.40% of the stated principal amount). The actual fixed upside payment will be determined on the pricing date.
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Downside threshold level:
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90% of the initial share price
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Buffer amount:
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10%
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Minimum payment at maturity:
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$100 per security. You could lose up to 90% of the stated principal amount of the securities.
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Interest:
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None
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The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $1,000. We estimate that the value of each security on the pricing date will be approximately $969.60, or within $35.00 of that estimate. Our estimate of the value of the securities as determined on the pricing date will be set forth in the final pricing supplement.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying stock. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying stock, instruments based on the underlying stock, volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including the fixed upside payment, the downside threshold level, the buffer amount and the minimum payment at maturity, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the underlying stock, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying stock, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the securities, and, if it once chooses to make a market, may cease doing so at any time.